Ruin probabilities expressed in terms of ladder height distributions

Abstract

During the latest few years much attention has been given to the study of the ruin problem of a risk business when the epochs of claims form a renewal process. The study of this problem was initiated by E. S. Andersen (1957). Thorin has then in a series of papers (Thorin, 1970, 1971a, 1971b) shown that the Wiener-Hopf technique, originally developed by Cramer (1955) in the case of a Poisson process, can be used in this more general case, and Takacs (1970) has derived results similar to those of Thorin by an entirely new technique.     

A nonparametric efficiency analysis of German public transport companies

In this paper, we present a nonparametric comparative efficiency analysis of 179 communal public transport bus companies in Germany (1990–2004). We apply both deterministic data envelopment analysis (DEA) and bootstrapping to test the robustness of our estimates and to test the hypothesis of global and individual constant returns to scale. We find that the average technical efficiency of German bus companies is relatively low. We observe that the industry appears to be characterized by increasing returns to scale for smaller companies. These results would imply increasing pressure on bus companies to restructure.     

Exchange rate determination: a theory of the decisive role of central bank cooperation and conflict

Economists’ faith that variable exchange rates benevolently equilibrate has been empirically disconfirmed. That faith is here tackled at its theoretical core with an exchange rate model that although ultra abstract, includes the undeniable fundamentals of market power and differential goals of central bankers and large-scale private players. It permits a game theoretic analysis under the assumption that all agents maximize their payoffs. The paper then relaxes the assumption of maximising agents, allowing for a more complex and thus realistic second version of the model that is interpretable within SKAT, the Stages of Knowledge Ahead Theory of risk and uncertainty. In an experimental setting, this second version of the model points to: a) the inability of agents in central banks, governments and the private real and financial sectors to operate in maximising ways; b) destructive central bank conflict; and c) the widely discrepant outcomes arising from the dynamics of individual personality differences. The paper’s theoretical and empirical findings thus both point to the merits of a single world currency.     

Mobil im Alter

Selbstst?ndigkeit f?rdern - Mobilit?t ist die F?higkeit, sich in seiner Umgebung frei zu bewegen und die Aktivit?ten des t?glichen Lebens unabh?ngig auszuführen. Im Alter ist sie eine wichtige Voraussetzung für ein selbstst?ndiges Leben. Oft entscheidet gerade die Mobilit?t darüber, wie sich für den betagten Menschen die weitere Lebenssituation gestaltet.     

Sovereign debt disputes: A database on government coerciveness during debt crises

This paper measures “debt disputes” between governments and foreign private creditors in periods of sovereign debt crises. We construct an index of government coerciveness, consisting of 9 objective sub-indicators. Each of these sub-indicators captures unilateral government actions imposed on foreign banks and bondholders. The results provide the first systematic account of debt crises that goes beyond a binary categorization of default versus non-default. Overall, government behavior and rhetoric show a strong variability, ranging from highly confrontational to very smooth crisis resolution processes. In a preliminary analysis on the determinants of coercive behavior, we find political institutions to be significant, while economic and financial factors play a lesser role. These results open up an agenda for future research.     

Social Preferences,Sorting, and Competition*

In this paper, I investigate how an increase in competition for workers influences the impact of social preferences on labor‐market outcomes. By sorting themselves into firms with homogeneous work forces, workers can ensure that they suffer less from social comparisons. Competition promotes choice and thus facilitates sorting. However, competition also boosts rent differences in the labor market, because firms cannot curb internal inequity among its employees without losing workers to competitors. To reduce their exposure to social comparisons, workers might engage in inefficient sorting into unemployment. Consequently, social preferences can have strong effects (i.e., unemployment) in a competitive labor market, whereas they only have a slight impact on labor‐market outcomes in a monopsony.     

Price Volatility and Risk Exposure: On the Interaction of Quota and Product Markets

We consider an industry with firms that produce a final good emitting pollution to different degree as a side effect. Pollution is regulated by a tradable quota system where some quotas may have been allocated at the outset, i.e. before the quota market is opened. We study how volatility in quota price affects firm behaviour, taking into account the impact of quota price on final-good price. The impact on the individual firm differs depending on how polluting it is??whether it is ??clean?? or ??dirty????and whether it has been allocated quotas at the outset. In the absence of long-term or forward contracting, a grandfathering regime??where clean firms are allocated no quotas and dirty firms are allocated quotas for a part of their emissions??minimizes the impact on firm behavior relative to a risk-neutral benchmark.With forward contracts and in the absence of wealth effects initial quota allocation has no effect on firm behaviour. Allowing for abatement does not change the qualitative nature of our results.